A general structural model for decomposing time series and its analysis as a generalized regression model

DOI10.1007/BF02924330MaRDI QIDQ3031815zbMATH OpenOpenAlexFDO

Authors Ralf Pauly

Publication date 1989

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02924330

zbMATH Keywords

seasontrendKalman filterlikelihood ratio testmaximum likelihood estimatorscyclegeneralized regression modeldecomposing economic time seriesgeneral structural model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 3162406 (Why is no real title available?)
• scientific article; zbMATH DE number 192992 (Why is no real title available?)
• scientific article; zbMATH DE number 3545060 (Why is no real title available?)
• scientific article; zbMATH DE number 4118115 (Why is no real title available?)
• A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER
• A PROTOTYPICAL SEASONAL ADJUSTMENT MODEL
• A Seasonal Adjustment Principle and a Seasonal Adjustment Method Derived from this Principle
• An ARIMA-Model-Based Approach to Seasonal Adjustment
• Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix
• Modeling Time Series With Calendar Variation
• SEASONAL ADJUSTMENT BY A BAYESIAN MODELING
• Some Recent Developments in Time Series Analysis. III, Correspondent Paper
• The Effects of Seat Belt Legislation on British Road Casualties: A Case Study in Structural Time Series Modelling

Cited in

(3)

• An Exact Multivariate Model-Based Structural Decomposition
• Decomposition of time series models in state-space form
• Decomposition of Time Series Dynamic Linear Models

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